Abstract
In the prediction of total stock index, we are faced with some parameters as they are uncertain in future and they can undergo changes, and this uncertainty has a few risks, and for a true analysis, the calculations should be performed under risk conditions. One of the evaluation methods under risk and uncertainty conditions is using geometric Brownian motion random differential equation and simulation by Monte Carlo and quasi-Monte Carlo methods as applied in this study. In Monte Carlo method, pseudo-random sequences are used to generate pseudo-random numbers, but in quasi-Monte Carlo method, quasi-random sequences are used with better uniformity and more rapid convergence compared with pseudo-random sequences. The predictions of total stock index and value at risk by this method are better and more exact than Monte Carlo method. This study at first evaluates random differential equation of geometric Brownian motion and its simulation by quasi-Monte Carlo method, and then its application in the predictions of total stock market index and value at risk can be evaluated.
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